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## Bayraktar, Erhan

Compute Distance To:
 Author ID: bayraktar.erhan Published as: Bayraktar, Erhan; Bayraktar, E. Homepage: https://sites.lsa.umich.edu/erhan/ External Links: MGP · ORCID · Wikidata · arXiv · ResearchGate · Math-Net.Ru · dblp
 Documents Indexed: 136 Publications since 2004
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#### Co-Authors

 3 single-authored 17 Young, Virginia R. 11 Zhou, Zhou 9 Poor, Harold Vincent 9 Yao, Song 7 Xing, Hao 5 Cohen, Asaf 5 Egami, Masahiko 5 Zhang, Yuchong 4 Dolinsky, Yan 4 Huang, Yu-Jui 4 Lai, Lifeng 4 Ludkovski, Michael 4 Promislov, S. David 3 Angoshtari, Bahman 3 Dayanik, Savas 3 Ekren, Ibrahim 3 Karatzas, Ioannis 3 Kravitz, Ross 3 Li, Jiaqi 3 Pham, Huyên 3 Sayit, Hasanjan 3 Sîrbu, Mihai 3 Song, Qingshuo 2 Azimzadeh, Parsiad 2 Budhiraja, Amarjit S. 2 Cosso, Andrea 2 Dolinskyi, Leonid 2 Guo, Jia 2 Kardaras, Constantinos 2 Kyprianou, Andreas E. 2 Yamazaki, Kazutoshi 2 Yu, Xiang 1 Bäuerle, Nicole 1 Burzoni, Matteo 1 Cecchin, Alekos 1 Cossc, Andrea 1 Cox, Alexander Matthew Gordon 1 Cvitanić, Jakša 1 Czichowsky, Christoph 1 Delarue, François 1 Emmerling, Thomas J. 1 Fahim, Arash 1 Fellouris, Georgios 1 Geng, Jun 1 Guo, Gaoyue 1 Horst, Ulrich 1 Hu, Xueying 1 Keller, Christian 1 Labahn, George 1 Liang, Zhibin 1 Menaldi, Jose-Luis 1 Milevsky, Moshe Arye 1 Miller, Christopher W. 1 Munk, Alexander 1 Nadtochiy, Sergey 1 Pakkanen, Mikko S. 1 Qiu, Jinniao 1 Rao, Raghuveer M. 1 Sezer, Semih Onur 1 Sircar, K. Ronnie 1 Sircar, Ronnie 1 Stoev, Yavor I. 1 Wang, Gu 1 Wu, Ruoyu 1 Zhang, Jingjie 1 Zhang, Yili
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#### Serials

 19 SIAM Journal on Control and Optimization 11 The Annals of Applied Probability 11 Stochastic Processes and their Applications 9 Insurance Mathematics & Economics 8 SIAM Journal on Financial Mathematics 7 Mathematical Finance 6 Mathematics of Operations Research 6 Proceedings of the American Mathematical Society 5 Finance and Stochastics 5 Mathematical Methods of Operations Research 4 IEEE Transactions on Information Theory 4 Applied Mathematics and Optimization 4 International Journal of Theoretical and Applied Finance 3 Applied Mathematical Finance 3 Stochastics 2 Stochastic Analysis and Applications 2 Sequential Analysis 2 Annals of Operations Research 2 Electronic Communications in Probability 2 Quantitative Finance 2 North American Actuarial Journal 2 Mathematics and Financial Economics 2 Annals of Finance 1 Theory of Probability and its Applications 1 Illinois Journal of Mathematics 1 Journal of Functional Analysis 1 Journal of Optimization Theory and Applications 1 Transactions of the American Mathematical Society 1 Systems & Control Letters 1 Numerical Methods for Partial Differential Equations 1 Journal of Economic Dynamics & Control 1 SIAM Journal on Matrix Analysis and Applications 1 Communications in Partial Differential Equations 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 SIAM Journal on Mathematical Analysis 1 Bernoulli 1 Journal of Machine Learning Research (JMLR) 1 ASTIN Bulletin
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#### Fields

 91 Probability theory and stochastic processes (60-XX) 91 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 41 Systems theory; control (93-XX) 28 Calculus of variations and optimal control; optimization (49-XX) 22 Partial differential equations (35-XX) 14 Statistics (62-XX) 7 Numerical analysis (65-XX) 6 Operations research, mathematical programming (90-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX)

#### Citations contained in zbMATH Open

122 Publications have been cited 1,066 times in 685 Documents Cited by Year
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2013
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
2012
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406
Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R.
2009
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
2014
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
2015
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
2008
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
2013
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
2010
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2014
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
2010
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
2006
Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041
Bayraktar, Erhan; Young, Virginia R.
2007
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
2011
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
2011
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
2014
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
2013
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
2017
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
2018
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
2005
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
2011
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2018
Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015
Bayraktar, Erhan; Young, Virginia R.
2007
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
2011
Hedging life insurance with pure endowments. Zbl 1183.91067
Bayraktar, Erhan; Young, Virginia R.
2007
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia
2008
Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132
Bayraktar, Erhan; Dayanik, Savas
2006
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
2004
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
2011
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
2015
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196
Bayraktar, Erhan; Young, Virginia R.
2011
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
2013
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
2015
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062
Bayraktar, Erhan; Ludkovski, Michael
2009
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
2006
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
2010
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
2016
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
2012
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
2014
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
2007
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
2010
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
2014
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
2013
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
2018
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
2018
Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209
Bayraktar, Erhan; Xing, Hao
2009
A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033
Bayraktar, Erhan
2009
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
2015
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
2011
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189
Bayraktar, Erhan; Xing, Hao
2009
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
2010
An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179
Bayraktar, Erhan; Egami, Masahiko
2008
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
2010
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
2021
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
2019
Stochastic differential games in a non-Markovian setting. Zbl 1102.91012
Bayraktar, Erhan; Poor, H. Vincent
2005
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
2013
Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043
Bayraktar, Erhan; Poor, H. Vincent
2007
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
2016
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2014
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2016
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
2017
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
2018
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
2012
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
2014
Pricing options on defaultable stocks. Zbl 1142.91504
Bayraktar, E.
2008
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
2011
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
2016
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
2016
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
2017
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
2019
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
2013
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
2018
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2020
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
2011
Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. Zbl 1152.91482
Bayraktar, Erhan; Poor, H. Vincent
2005
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
2010
Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077
Bayraktar, Erhan; Sezer, Semih
2009
Minimizing the lifetime shortfall or shortfall at death. Zbl 1162.91397
Bayraktar, Erhan; Young, Virginia R.
2009
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
2015
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
2014
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
2013
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
2020
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
2019
On the stickiness property. Zbl 1205.91178
Bayraktar, Erhan; Sayit, Hasanjan
2010
Quickest search over Brownian channels. Zbl 1322.60043
Bayraktar, Erhan; Kravitz, Ross
2014
Optimal time to change premiums. Zbl 1156.91392
Bayraktar, Erhan; Poor, H. Vincent
2008
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
2015
Weak reflection principle for Lévy processes. Zbl 1330.60064
2015
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
2017
On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120
Bayraktar, Erhan; Zhou, Zhou
2014
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
2021
Transport plans with domain constraints. Zbl 1470.60117
Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou
2021
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
2020
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2020
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
2019
Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang
2019
Rate control under heavy traffic with strategic servers. Zbl 1409.60131
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2019
No-arbitrage and hedging with liquid American options. Zbl 1433.91169
Bayraktar, Erhan; Zhou, Zhou
2019
On the controller-stopper problems with controlled jumps. Zbl 1422.91081
Bayraktar, Erhan; Li, Jiaqi
2019
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
2018
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2018
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
2018
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
2018
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2018
Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429
Bayraktar, Erhan; Cohen, Asaf
2018
Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234
Bayraktar, Erhan; Song, Qingshuo
2018
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2018
On zero-sum optimal stopping games. Zbl 1404.49027
Bayraktar, Erhan; Zhou, Zhou
2018
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
2017
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
2017
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
2017
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
2017
On an optimal stopping problem of an insider. Zbl 1386.60153
Bayraktar, E.; Zhou, Zh.
2017
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
2016
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2016
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
2016
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
2016
An $$\alpha$$-stable limit theorem under sublinear expectation. Zbl 1347.60006
Bayraktar, Erhan; Munk, Alexander
2016
On a stopping game in continuous time. Zbl 1345.60037
Bayraktar, Erhan; Zhou, Zhou
2016
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
2015
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
2015
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
2015
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
2015
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
2015
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
2015
Weak reflection principle for Lévy processes. Zbl 1330.60064
2015
Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2015
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
2014
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
2014
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
2014
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2014
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
2014
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
2014
Quickest search over Brownian channels. Zbl 1322.60043
Bayraktar, Erhan; Kravitz, Ross
2014
On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120
Bayraktar, Erhan; Zhou, Zhou
2014
On the existence of consistent price systems. Zbl 1291.91188
Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2013
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
2013
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
2013
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
2013
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
2013
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
2013
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
2013
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
2013
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
2012
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
2012
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
2012
Regularity of the optimal stopping problem for jump diffusions. Zbl 1255.60068
Bayraktar, Erhan; Xing, Hao
2012
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
2011
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
2011
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
2011
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
2011
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
2011
Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196
Bayraktar, Erhan; Young, Virginia R.
2011
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
2011
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
2011
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
2011
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
2010
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
2010
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
2010
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
2010
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
2010
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
2010
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
2010
On the stickiness property. Zbl 1205.91178
Bayraktar, Erhan; Sayit, Hasanjan
2010
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406
Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R.
2009
Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062
Bayraktar, Erhan; Ludkovski, Michael
2009
Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209
Bayraktar, Erhan; Xing, Hao
2009
A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033
Bayraktar, Erhan
2009
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189
Bayraktar, Erhan; Xing, Hao
2009
...and 22 more Documents
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#### Cited by 856 Authors

 79 Bayraktar, Erhan 35 Young, Virginia R. 16 Yamazaki, Kazutoshi 12 Zhou, Zhou 10 Huang, Yu-Jui 10 Liang, Zhibin 10 Ludkovski, Michael 10 Pérez Garmendia, Jose Luis 10 Pham, Huyên 9 Cartea, Álvaro 9 Cohen, Asaf 9 Jaimungal, Sebastian 9 Yuen, Kam Chuen 8 Li, Danping 8 Nutz, Marcel 8 Yao, Song 8 Zhang, Jianfeng 7 Gapeev, Pavel V. 7 Karatzas, Ioannis 7 Yin, Chuancun 6 Avanzi, Benjamin 6 Dayanik, Savas 6 Dolinsky, Yan 6 Ekström, Erik 6 Jin, Zhuo 6 Kardaras, Constantinos 6 Lacker, Daniel 6 Liang, Xiaoqing 6 Obloj, Jan K. 6 Poor, Harold Vincent 6 Possamaï, Dylan 6 Song, Qingshuo 6 Xing, Hao 6 Zhou, Chao 5 Blake, David 5 Cecchin, Alekos 5 Cox, Alexander Matthew Gordon 5 Ekren, Ibrahim 5 Li, Bin 5 Liang, Gechun 5 Quenez, Marie-Claire 5 Sayit, Hasanjan 5 Sezer, Semih Onur 5 Touzi, Nizar 5 Wong, Bernard 4 Belak, Christoph 4 Bo, Lijun 4 Bouchard, Bruno 4 Christensen, Soren 4 Czichowsky, Christoph 4 Delarue, François 4 Egami, Masahiko 4 Fahim, Arash 4 Hernández-Hernández, Daniel 4 Li, Dongchen 4 Moreno-Franco, Harold A. 4 Plaksin, Anton Romanovich 4 Promislov, S. David 4 Reisinger, Christoph 4 Rong, Ximin 4 Seifried, Frank Thomas 4 Sulem, Agnès 4 Suzuki, Kiyoshi 4 Tudor, Ciprian A. 4 Zeng, Yan 4 Zhang, Yuchong 4 Zhao, Hui 4 Zhao, Yongxia 4 Zhou, Ming 4 Zhu, Chao 3 Averboukh, Yuriĭ Vladimirovich 3 Azcue, Pablo 3 Azimzadeh, Parsiad 3 Bäuerle, Nicole 3 Brachetta, Matteo 3 Burzoni, Matteo 3 Campi, Luciano 3 Carassus, Laurence 3 Carmona, René A. 3 Ceci, Claudia 3 Chen, Ping 3 Cosso, Andrea 3 Delong, Łukasz 3 Egídio dos Reis, Alfredo D. 3 Fontana, Claudio 3 Frostig, Esther 3 Guéant, Olivier 3 Hamadene, Saïd 3 Han, Xia 3 Henderson, Vicky 3 Hou, Zhaoxu 3 Imkeller, Peter 3 Kratschmer, Volker 3 Landriault, David 3 Lau, Hayden 3 Leung, Tim 3 Levendorskiĭ, Sergeĭ Zakharovich 3 Li, Jiaqi 3 Lindensjö, Kristoffer 3 MacMinn, Richard D. ...and 756 more Authors
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#### Cited in 124 Serials

 70 Insurance Mathematics & Economics 54 SIAM Journal on Control and Optimization 43 Stochastic Processes and their Applications 33 The Annals of Applied Probability 28 Finance and Stochastics 26 Applied Mathematics and Optimization 21 Mathematics of Operations Research 20 SIAM Journal on Financial Mathematics 18 Mathematical Finance 16 International Journal of Theoretical and Applied Finance 15 Mathematical Methods of Operations Research 15 Quantitative Finance 14 Journal of Computational and Applied Mathematics 13 Applied Mathematical Finance 13 Mathematics and Financial Economics 12 Journal of Optimization Theory and Applications 12 Scandinavian Actuarial Journal 12 North American Actuarial Journal 10 European Journal of Operational Research 10 ASTIN Bulletin 10 Stochastics 9 Advances in Applied Probability 8 Automatica 8 Journal of Applied Probability 7 Annals of Operations Research 7 Annals of Finance 6 Sequential Analysis 6 Journal of Economic Dynamics & Control 5 The Annals of Probability 5 Proceedings of the American Mathematical Society 5 Stochastic Analysis and Applications 5 Electronic Journal of Probability 4 Journal of Mathematical Analysis and Applications 4 Applied Mathematics and Computation 4 Stochastic Models 4 Journal of Industrial and Management Optimization 3 Transactions of the American Mathematical Society 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Communications in Statistics. Theory and Methods 3 Abstract and Applied Analysis 3 Methodology and Computing in Applied Probability 3 Asia-Pacific Financial Markets 3 Review of Derivatives Research 3 Dynamic Games and Applications 2 Computers & Mathematics with Applications 2 Mathematics and Computers in Simulation 2 SIAM Journal on Numerical Analysis 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Mathematical and Computer Modelling 2 European Journal of Applied Mathematics 2 Automation and Remote Control 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 NoDEA. Nonlinear Differential Equations and Applications 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 The ANZIAM Journal 2 Decisions in Economics and Finance 2 Journal of Applied Mathematics and Computing 2 Science China. Mathematics 2 Statistics & Risk Modeling 2 Stochastic Systems 1 Archive for Rational Mechanics and Analysis 1 Journal of Engineering Mathematics 1 Physica A 1 Chaos, Solitons and Fractals 1 The Annals of Statistics 1 Demonstratio Mathematica 1 Illinois Journal of Mathematics 1 Journal of Mathematical Economics 1 Journal of Statistical Planning and Inference 1 Systems & Control Letters 1 Journal of Time Series Analysis 1 Chinese Annals of Mathematics. Series B 1 Statistics 1 Revista Matemática Iberoamericana 1 Numerical Methods for Partial Differential Equations 1 MCSS. Mathematics of Control, Signals, and Systems 1 Numerical Algorithms 1 Games and Economic Behavior 1 International Journal of Computer Mathematics 1 SIAM Review 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Nonlinear Science 1 Journal of Computer and Systems Sciences International 1 SIAM Journal on Scientific Computing 1 Applicationes Mathematicae 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Electronic Communications in Probability 1 Bernoulli 1 Discrete and Continuous Dynamical Systems 1 INFORMS Journal on Computing 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Discrete Dynamics in Nature and Society 1 Statistical Inference for Stochastic Processes 1 Acta Mathematica Sinica. English Series 1 Econometric Theory ...and 24 more Serials
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#### Cited in 27 Fields

 507 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 404 Probability theory and stochastic processes (60-XX) 232 Systems theory; control (93-XX) 126 Calculus of variations and optimal control; optimization (49-XX) 79 Statistics (62-XX) 69 Partial differential equations (35-XX) 68 Operations research, mathematical programming (90-XX) 42 Numerical analysis (65-XX) 12 Operator theory (47-XX) 8 Integral equations (45-XX) 6 General and overarching topics; collections (00-XX) 6 Ordinary differential equations (34-XX) 6 Integral transforms, operational calculus (44-XX) 4 Functional analysis (46-XX) 4 Computer science (68-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Biology and other natural sciences (92-XX) 3 Information and communication theory, circuits (94-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Field theory and polynomials (12-XX) 1 Real functions (26-XX) 1 Functions of a complex variable (30-XX) 1 Difference and functional equations (39-XX) 1 Approximations and expansions (41-XX) 1 Mechanics of particles and systems (70-XX)

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